English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 91913/122132 (75%)
Visitors : 25838267      Online Users : 195
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/63902
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/63902


    Title: Closed-Form Mortgage Valuation Using Reduced-Form Model
    Authors: Liao, Szu-Lang;Tsai, Ming-Shann;Chiang, Shu-Ling
    廖四郎;蔡明憲;江淑玲
    Contributors: 金融系
    Date: 2008-07
    Issue Date: 2014-02-17 17:48:26 (UTC+8)
    Abstract: Valuing mortgage-related securities is more complicated than valuing regular defaultable claims due to the borrower's prepayment behavior as well as the possibility of default. Some researchers use a structural-form model to obtain the closed-form formulas for the mortgage value. With this method, however, it is difficult to identify the critical region of early exercise. As an alternative, the reduced-form model developed in this article is able to value the mortgage without setting boundary conditions, and it can thereby accurately handle the multidimensional space of correlated state variables. The purpose of this article is to derive a closed-form solution of the mortgage valuation equation under a general reduced-form model that embeds relevant economic variables. This new approach enables portfolio managers to undertake sophisticated portfolio optimization and hedging analyses. An implementation procedure for the model is also provided to demonstrate how the valuation framework can be utilized in practical applications. [ABSTRACT FROM AUTHOR]
    Relation: Real Estate Economics, 36(2), 313-347
    Data Type: article
    DOI 連結: http://dx.doi.org/10.1111/j.1540-6229.2008.00215.x
    DOI: 10.1111/j.1540-6229.2008.00215.x
    Appears in Collections:[金融學系] 期刊論文

    Files in This Item:

    File Description SizeFormat
    313-347.pdf247KbAdobe PDF1018View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback